Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 09 (1D) | Dec 10 (2D) | Dec 11 (3D) | Dec 12 (4D) | Dec 15 (7D) | Dec 16 (8D) | Dec 17 (9D) | Dec 18 (10D) | Dec 19 (11D) | Dec 22 (14D) | Dec 26 (18D) |
|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 676.873 | 674.377 | 672.462 | 670.847 | 666.955 | 665.854 | 664.82 | 663.842 | 662.912 | 660.351 | 657.332 |
| upper | 688.927 | 691.423 | 693.338 | 694.953 | 698.845 | 699.946 | 700.98 | 701.958 | 702.888 | 705.449 | 708.468 |
| expected move | 6.027 | 8.523 | 10.438 | 12.053 | 15.945 | 17.046 | 18.08 | 19.058 | 19.988 | 22.549 | 25.568 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
